EBA · 2013_130 Final Q&A

Scope of calculation of own funds requirements for CVA risk

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
382, para. 2
Topic
Market risk
Submitted by
Credit institution
Submitted
2013-08-07
Answered
2013-11-15
Answer provided by
ESAs (EBA, ESMA, EIOPA)
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Question

Can you provide some details on what criteria and/or thresholds are likely to apply in order to determine that securities financing transactions are material in the context of article 382(2)?

Background

Article 382(2) of Regulation 575/2013 states: An institution shall include securities financing transactions in the calculation of own funds required by paragraph 1 if the competent authority determines that the institution's CVA risk exposures arising from those transactions are material.

Answer

Whether an institution's CVA risk exposures arising from securities financing transactions are considered material is not subject to any EBA guidance at this stage, thus remaining the discretion of the competent authorities. Pursuant to Article 456(2) of Regulation (EU) No. 575/2013, the EBA is mandated to monitor the own fund requirements for credit valuation adjustment risk and produce a report in respect of the items contained in that section, with possible impacts on the issue in question.

Original source: European Banking Authority, Q&A ID 2013_130

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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